Contemporary Quantitative Finance Essays in Honour of Eckhard Platen
The contributors to this volume write a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interest rate models, credit risk and credit derivatives, use o
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Carl Chiarella Alexander Novikov Editors
Contemporary Quantitative Finance Essays in Honour of Eckhard Platen
Editors Carl Chiarella Alexander Novikov School of Finance and Economics Department of Mathematical Sciences The University of Technology, Sydney P.O. Box 123, Broadway 2007 NSW Australia [email protected] [email protected]
ISBN 978-3-642-03478-7 e-ISBN 978-3-642-03479-4 DOI 10.1007/978-3-642-03479-4 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2010930919 Mathematics Subject Classification (2000): 49Kxx, 49Nxx, 60G35, 62M05, 60G70, 65Mxx © Springer-Verlag Berlin Heidelberg 2010 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: WMXDesign GmbH, Heidelberg Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Preface
This volume contains a collection of papers dedicated to Professor Eckhard Platen to celebrate his 60th birthday, which occurred in 2009. The contributions have been written by a number of his colleagues and co-authors. All papers have been reviewed and presented as keynote talks at the international conference “Quantitative Methods in Finance” (QMF) in Sydney in December 2009. The QMF Conference Series was initiated by Eckhard Platen in 1993 when he was at the Australian National University (ANU) in Canberra. Since joining UTS in 1997 the conference came to be organised on a much larger scale and has grown to become a significant international event in quantitative finance. Professor Platen has held the Chair of Quantitative Finance at the University of Technology, Sydney (UTS) jointly in the Faculties of Business and Science since 1997. Prior to this appointment, he was the Founding Head of the Centre for Financial Mathematics at the Institute of Advanced Studies at ANU, a position to which he was appointed in 1994. Eckhard completed a PhD in Mathematics at the Technical University in Dresden in 1975 and in 1985 obtained his Doctor of Science degree (Habilitation degree in the German system) from the Academy of Sciences in Berlin where he headed the Stochastics group at the Weierstrass Institute. Eckhard has served on the editorial boards of many distinguished journals, and he is currently a
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